CSI300 Index Rebalance: Methodology Tweak Results in More Changes & Larger Turnover

692 Views27 Nov 2021 09:02
There are 28 changes to the CSI300 index at the Dec rebalance. A few large inclusions plus the expansion of the index universe pushes one-way turnover to 10% & results in a one-way trade of CNY 20.5bn
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Brian Freitas
Pan-Asia Index Rebalances/ Events/ Delta One
Periscope Analytics
EquitiesEvent-DrivenQuantitative Analysis
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